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RE: st: RE: Hausman Test Problems
From
"Schaffer, Mark E" <[email protected]>
To
<[email protected]>
Subject
RE: st: RE: Hausman Test Problems
Date
Mon, 2 May 2011 10:45:52 +0100
John, Muhammad,
The test of fixed vs. random effects (also) has an overid test
interpretation. The FE estimator uses the moment conditions
E(x_it*e_it)=0. The RE estimator uses, in addition, the moment
conditions E(x_it*u_i)=0. That's what makes it overidentified and an
overid test possible.
There is a short discussion and some references in the xtoverid help
file.
Cheers,
Mark
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> John Antonakis
> Sent: 02 May 2011 10:11
> To: [email protected]
> Subject: Re: st: RE: Hausman Test Problems
>
> You don't need to be overidentified to use xtoverid. The
> command in fact tests a constraint that is made, which nests
> the random and fixed-effects models (i.e., the constraint
> that is made to the random effects model is that level 2
> regressors do not correate with uj).
>
> To get a better handle on what types of constraints are made
> in these types of models see:
>
> Bollen, K. A., & Brand, J. E. (2010). A General Panel Model
> with Random and Fixed Effects A Structural Equations
> Approach. Social Forces, 89(1), 1-34.
>
> HTH,
> John.
>
> __________________________________________
>
> Prof. John Antonakis
> Faculty of Business and Economics
> Department of Organizational Behavior
> University of Lausanne
> Internef #618
> CH-1015 Lausanne-Dorigny
> Switzerland
> Tel ++41 (0)21 692-3438
> Fax ++41 (0)21 692-3305
> http://www.hec.unil.ch/people/jantonakis
>
> Associate Editor
> The Leadership Quarterly
> __________________________________________
>
>
> On 02.05.2011 10:56, Muhammad Anees wrote:
> > Thanks Eric!
> >
> > It did worked for me. I actually run the regressions without
> > pretesting it for any overidentification. Can I still follow any
> > procedure selecting one of the FE and RE using over
> identified panel
> > data regressions.
> >
> > On 2 May 2011 12:44, DE SOUZA
> Eric<[email protected]> wrote:
> >> The Hausman test for fixed vs random is only valid under
> a strict set of assumptions. These assumptions are clearly
> not satisfied in your case .
> >> Use -xtoverid-. Download it from ssc: -ssc install
> xtoverid- and read the help file first.
> >>
> >>
> >> Eric de Souza
> >> College of Europe
> >> Brugge (Bruges), Belgium
> >> http://www.coleurope.eu
> >>
> >>
> >> -----Original Message-----
> >> From: [email protected]
> >> [mailto:[email protected]] On Behalf Of
> Muhammad
> >> Anees
> >> Sent: 02 May 2011 06:12
> >> To: [email protected]
> >> Subject: st: Hausman Test Problems
> >>
> >> Dear All!
> >>
> >> I have run a panel data regression and selection of the
> random effects or fixed effects using Hausman test. I do not
> know what is the actual problem with my results. Please could
> someone help. Why the result for my hausman command results
> in warning message?
> >> the complete results are below:
> >>
> >>
> >> . xtreg priceclose eps bookvalue, fe
> >>
> >> Fixed-effects (within) regression Number of
> obs = 850
> >> Group variable: id Number of
> groups = 170
> >>
> >> R-sq: within = 0.1160 Obs per
> group: min = 5
> >> between = 0.5266
> avg = 5.0
> >> overall = 0.4645
> max = 5
> >>
> >> F(2,678) = 44.48
> >> corr(u_i, Xb) = 0.4836 Prob> F
> = 0.0000
> >>
> >>
> >> priceclose Coef. Std. Err. t P>t [95%
> Conf. Interval]
> >>
> >> eps .7770481 .1966364 3.95 0.000 .3909585
> 1.163138
> >> bookvalue .8653121 .1577343 5.49 0.000
> .5556057 1.175018
> >> _cons 1.001173 .1176642 8.51 0.000 .7701434
> 1.232204
> >>
> >> sigma_u 3.5662704
> >> sigma_e 1.5953308
> >> rho .83325562 (fraction of variance due to u_i)
> >>
> >> F test that all u_i=0: F(169, 678) = 17.34
> Prob> F = 0.0000
> >>
> >> .
> >> . estimates store fe
> >>
> >> .
> >> . xtreg priceclose eps bookvalue, re
> >>
> >> Random-effects GLS regression Number of
> obs = 850
> >> Group variable: id Number of
> groups = 170
> >>
> >> R-sq: within = 0.1159 Obs per
> group: min = 5
> >> between = 0.5186
> avg = 5.0
> >> overall = 0.4593
> max = 5
> >>
> >> Random effects u_i ~ Gaussian Wald
> chi2(2) = 297.79
> >> corr(u_i, X) = 0 (assumed) Prob>
> chi2 = 0.0000
> >>
> >>
> >> priceclose Coef. Std. Err. z P>z [95%
> Conf. Interval]
> >>
> >> eps 1.113035 .2084971 5.34 0.000 .7043883
> 1.521682
> >> bookvalue 1.394302 .1196459 11.65 0.000
> 1.159801 1.628804
> >> _cons .5629992 .2070207 2.72 0.007 .1572462
> .9687522
> >>
> >> sigma_u 2.1242726
> >> sigma_e 1.5953308
> >> rho .63938518 (fraction of variance due to u_i)
> >>
> >>
> >> .
> >> . estimates store re
> >>
> >> .
> >> . hausman fe re
> >>
> >> ---- Coefficients ----
> >> (b) (B) (b-B) sqrt(diag(V_b-V_B))
> >> fe re Difference S.E.
> >>
> >> eps .7770481 1.113035 -.3359869 .
> >> bookvalue .8653121 1.394302 -.5289903 .102786
> >>
> >> b = consistent under Ho and Ha; obtained from xtreg B =
> inconsistent
> >> under Ha, efficient under Ho; obtained from xtreg
> >>
> >> Test: Ho: difference in coefficients not systematic
> >>
> >> chi2(2) = (b-B)'[(V_b-V_B)^(-1)](b-B)
> >> = -15.59 chi2<0 ==> model fitted on these
> >> data fails to meet the asymptotic
> >> assumptions of the Hausman test;
> >> see suest for a generalized test
> >>
> >>
> >> --
> >> Muhammad Anees
> >> MSc in Economics
> >> The University of Sheffield
> >> United Kingdom
> >> *
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> >>
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> >>
> >
> >
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